1 citations · 1 across the 18 of their papers we have counts for
4 papers · 2 filters
Affine Structure of the Brownian Signature
Eduardo Abi Jaber, Elie Attal, Dimitri Sotnikov
We establish an infinite-dimensional affine transform theory for the time-augmented Brownian signature. Our first main result shows that, for a suitable class of linear functions o…
Volterra clocks and their pure-jump limits: hitting times of curved boundaries
Eduardo Abi Jaber, Elie Attal, Andreas Sojmark
We introduce a class of continuous Volterra processes, called Volterra clocks, and study their singular limit as the memory kernel collapses to a Dirac mass at zero. The dynamics a…
Malliavin calculus for signatures with applications to finance
Eduardo Abi Jaber, Clément Rey, Dimitri Sotnikov
Malliavin calculus is a powerful and general framework for the analysis of square-integrable random variables, but it often suffers from a lack of tractability and explicit represe…
Stochastic invariance in infinite dimension beyond Lipschitz coefficients
Eduardo Abi Jaber, Stefan Tappe
We establish necessary and sufficient conditions for stochastic invariance of closed subsets in Hilbert spaces for solutions to infinite-dimensional stochastic differential equatio…